Download This PaperEstimation and Forecasting in INAR(P) Models Using Sieve Bootstrap
29 Pages Posted: 19 Mar 2018
Date Written: March 2, 2018
Abstract
In this paper we analyse some bootstrap techniques to make inference in INAR(p) models. First of all, via Monte Carlo experiments we compare the performances of these methods when estimating the thinning parameters in INAR(p) models. We state the superiority of sieve bootstrap approaches on block bootstrap in terms of low bias and Mean Square Error (MSE). Then we apply the sieve bootstrap methods to obtain coherent predictions and confidence intervals in order to avoid difficulty in deriving the distributional properties.
Keywords: INAR(p) models, estimation, forecast, bootstrap
JEL Classification: C22, C53
Suggested Citation: Suggested Citation
Bisaglia, Luisa and Gerolimetto, Margherita, Estimation and Forecasting in INAR(P) Models Using Sieve Bootstrap (March 2, 2018). University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 6/WP/2018, Available at SSRN: https://ssrn.com/abstract=3141801 or http://dx.doi.org/10.2139/ssrn.3141801
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.